Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0045
Annualized Std Dev 0.0930
Annualized Sharpe (Rf=0%) -0.0486

Row

Daily Return Statistics

Close
Observations 3842.0000
NAs 1.0000
Minimum -0.0307
Quartile 1 -0.0034
Median 0.0001
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0033
Maximum 0.0367
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0059
Skewness 0.0679
Kurtosis 2.6539

Downside Risk

Close
Semi Deviation 0.0041
Gain Deviation 0.0040
Loss Deviation 0.0040
Downside Deviation (MAR=210%) 0.0101
Downside Deviation (Rf=0%) 0.0041
Downside Deviation (0%) 0.0041
Maximum Drawdown 0.3698
Historical VaR (95%) -0.0093
Historical ES (95%) -0.0133
Modified VaR (95%) -0.0092
Modified ES (95%) -0.0132
From Trough To Depth Length To Trough Recovery
2008-04-23 2020-03-20 NA -0.3698 3251 2999 NA
2007-11-27 2007-12-20 2008-01-30 -0.0387 44 18 26
2006-01-24 2006-02-27 2006-04-18 -0.0368 59 24 35
2006-05-15 2006-07-18 2006-11-22 -0.0327 135 45 90
2006-12-04 2007-01-11 2007-03-20 -0.0325 72 26 46

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA NA NA NA NA -0.1 -0.1
2006 -0.9 -0.2 -0.3 -0.5 -0.3 1 0.3 0 -0.2 -0.3 0.5 0.4 -0.5
2007 -0.4 -0.6 0.2 -0.6 -0.4 0.7 -0.4 0 -0.4 -0.4 -0.7 -0.9 -3.8
2008 -0.8 -0.2 -1.4 -1.2 0.4 0 -0.7 -0.1 -0.6 -1.5 -1.1 -0.8 -7.7
2009 -1.2 -0.5 -0.4 0.2 0.2 0.8 1.3 -0.8 -0.8 -0.8 0.5 -0.1 -1.6
2010 0.5 -0.4 0.6 0.5 -0.3 2.4 -0.3 1 1.1 -0.2 1.2 0.6 6.8
2011 1 -0.2 0.4 -0.1 -0.4 0.2 -0.8 -0.7 -1.4 -1 0.2 -0.2 -3
2012 0.5 -0.1 0.3 0 0.4 1.7 -0.7 0.5 0.3 -0.1 0.2 -0.2 2.9
2013 0.6 -0.2 0.2 0.1 -0.3 0.4 -0.8 -0.2 0.1 -0.6 0.1 -0.3 -1
2014 -0.4 0.7 0.1 0 0.2 -0.1 0.2 -0.4 -0.1 -0.5 0.3 -0.4 -0.5
2015 -0.2 0 0.1 -0.2 -0.6 -0.8 0.5 0.7 0.1 0.2 0.6 -0.6 -0.2
2016 0.6 -0.1 0.1 0.9 0.6 0.4 -0.1 0.4 0.2 0.7 0.6 0.4 4.7
2017 -0.3 -0.5 -0.1 0 -0.2 -0.2 -0.3 -0.4 0.3 -0.3 -0.1 0.5 -1.5
2018 0.7 0.5 0 -0.7 -0.3 1 -0.2 -0.6 -0.3 0.7 -0.6 0.1 0.4
2019 0.1 -0.1 -0.1 -0.2 0.4 -0.8 0.2 -0.6 0.3 0.2 0.1 0.1 -0.2
2020 0.5 0.5 -0.7 0.2 0.3 0.2 -0.6 -0.2 0.2 -0.3 1.2 -0.6 0.6
2021 -0.6 -0.2 0 NA NA NA NA NA NA NA NA NA -0.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-12-12  120. SPY    126.  0.0009   -0.001    0.0252   0.0226   0.0505    0.393  -0.0818 GLD    52.6  0.0031   0.0351
2 2005-12-13  120. SPY    127.  0.0068    0.0039   0.0287   0.0333   0.054     0.403  -0.0606 GLD    51.6 -0.0173   0.0149
3 2005-12-14  120. SPY    128.  0.0039    0.0137   0.0333   0.0378   0.0573    0.431  -0.0437 GLD    50.4 -0.0252  -0.0189
4 2005-12-15  120. SPY    127. -0.00290   0.0114   0.0341   0.0319   0.0549    0.390  -0.0487 GLD    50.2 -0.0022  -0.032 
5 2005-12-16  120. SPY    126. -0.0032    0.0056   0.0287   0.032    0.0636    0.398  -0.0836 GLD    50.1 -0.003   -0.0441
6 2005-12-19  120. SPY    126. -0.0051   -0.0059   0.0086   0.03     0.0522    0.400  -0.0893 GLD    50.2  0.0026  -0.0445
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart